Shrinking characteristics of precision matrix estimators

DOI10.1093/biomet/asy023zbMath1499.62179arXiv1704.04820OpenAlexW2605884907MaRDI QIDQ4561011

Aaron J. Molstad

Publication date: 10 December 2018

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.04820

zbMATH Keywords

predictionalternating direction method of multiplierslinear discriminant analysisprecision matrix estimationmajorize-minimize

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

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